Related papers: A Metropolis-Hastings algorithm for extracting per…

We propose a new method to detect gravitational waves, based on spatial coherence interferometry with stellar light, as opposed to the conventional temporal coherence interferometry with laser sources. The proposed method detects…

A Kernel Adaptive Metropolis-Hastings algorithm is introduced, for the purpose of sampling from a target distribution with strongly nonlinear support. The algorithm embeds the trajectory of the Markov chain into a reproducing kernel Hilbert…

This work develops a powerful and versatile framework for determining acceptance ratios in Metropolis-Hastings type Markov kernels widely used in statistical sampling problems. Our approach allows us to derive new classes of kernels which…

We introduce a new Markov-Chain Monte Carlo (MCMC) approach designed for efficient sampling of highly correlated and multimodal posteriors. Parallel tempering, though effective, is a costly technique for sampling such posteriors. Our…

This paper develops a Bayesian computational platform at the interface between posterior sampling and optimization in models whose marginal likelihoods are difficult to evaluate. Inspired by adversarial optimization, namely Generative…

We analyse computational efficiency of Metropolis-Hastings algorithms with stochastic AR(1) process proposals. These proposals include, as a subclass, discretized Langevin diffusion (e.g. MALA) and discretized Hamiltonian dynamics (e.g.…

The Monte Carlo within Metropolis (MCwM) algorithm, interpreted as a perturbed Metropolis-Hastings (MH) algorithm, provides an approach for approximate sampling when the target distribution is intractable. Assuming the unperturbed Markov…

We propose an adaptive Metropolis-Hastings algorithm in which sampled data are used to update the proposal distribution. We use the samples found by the algorithm at a particular step to form the information-theoretically optimal mean-field…

Couplings play a central role in the analysis of Markov chain convergence and in the construction of novel Markov chain Monte Carlo estimators, diagnostics, and variance reduction techniques. The set of possible couplings is often…

A class of Monte Carlo algorithms which incorporate absorbing Markov chains is presented. In a particular limit, the lowest-order of these algorithms reduces to the $n$-fold way algorithm. These algorithms are applied to study the escape…

Markov chain Monte Carlo (MCMC) methods are one of the most popular classes of algorithms for sampling from a target probability distribution. A rising trend in recent years consists in analyzing the convergence of MCMC algorithms using…

This paper discusses a Metropolis-Hastings algorithm developed by \citeA{MarsmanIsing}. The algorithm is derived from first principles, and it is proven that the algorithm becomes more efficient with more data and meets the growing demands…

We develop a general formalism for the parameter-space metric of the multi-detector F-statistic, which is a matched-filtering detection statistic for continuous gravitational waves. We find that there exists a whole family of F-statistic…

We introduce an algorithm to marginalize the likelihood for a gravitational wave signal from a quasi-circular binary merger over its extrinsic parameters, accounting for the effects of higher harmonics and spin-induced precession. The…

Motivated by Bayesian inference with highly informative data we analyze the performance of random walk-like Metropolis-Hastings algorithms for approximate sampling of increasingly concentrating target distributions. We focus on Gaussian…

Markov Chain Monte Carlo (MCMC) methods have a drawback when working with a target distribution or likelihood function that is computationally expensive to evaluate, specially when working with big data. This paper focuses on…

Markov chain Monte Carlo methods have become standard tools in statistics to sample from complex probability measures. Many available techniques rely on discrete-time reversible Markov chains whose transition kernels build up over the…

In this paper we address the problem of the prohibitively large computational cost of existing Markov chain Monte Carlo methods for large--scale applications with high dimensional parameter spaces, e.g. in uncertainty quantification in…

Equilibrium systems evolve according to Detailed Balance (DB). This principe guided development of the Monte-Carlo sampling techniques, of which Metropolis-Hastings (MH) algorithm is the famous representative. It is also known that DB is…

We quantify the advantages of a recently proposed data processing technique to search for continuous gravitational wave (GW) signals from isolated rotating asymmetric neutron stars in data measured by ground-based GW interferometers. This…